Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0103
Annualized Std Dev 0.2398
Annualized Sharpe (Rf=0%) 0.0429

Row

Daily Return Statistics

Close
Observations 4357.0000
NAs 1.0000
Minimum -0.2491
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0060
Maximum 0.2534
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0151
Skewness -0.2003
Kurtosis 49.6650

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0116
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.7333
Historical VaR (95%) -0.0202
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2014-06-10 -0.7333 1767 444 1323
2018-01-29 2020-03-18 NA -0.5815 792 538 NA
2014-06-23 2016-01-20 2017-12-22 -0.3333 885 398 487
2003-12-18 2004-07-26 2006-12-01 -0.1855 745 150 595
2007-02-27 2007-03-05 2007-04-04 -0.0500 27 5 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA -0.2 -0.7 -0.9
2004 0.6 -0.6 0.1 -1.5 -0.1 0.8 0.7 1.1 0.9 -0.1 1.2 0.3 3.5
2005 0.6 0.7 0.2 -0.3 0.4 0.4 0.6 -0.1 0.2 -1.2 1.4 0 2.7
2006 0.5 -0.1 -0.5 0 0.5 0.4 -0.2 0.4 0.3 -0.3 0.2 -0.1 1.1
2007 -0.1 -0.6 -0.2 -0.4 0.2 -0.2 0 0.9 1.2 -1.9 1.6 0.4 0.9
2008 0.8 -2 2.6 1.9 -0.5 0.2 -0.5 1 2.8 4.3 -9.9 3.3 3.2
2009 -1.8 -2.3 1.9 0.1 3.3 1.7 0.4 -2.3 -2.3 -2.9 1 -0.5 -3.8
2010 1.5 0.4 1 -1 -2.9 -0.9 0.8 3.4 0.5 -0.1 1 -0.2 3.4
2011 1 -0.7 0.5 0.2 -1.2 1.7 0.8 -0.4 -2.6 -3.2 0.8 1.6 -1.6
2012 0.4 0.2 0.1 0.4 -2.7 1.2 -0.2 1 -0.5 1.3 0.7 1.3 3.3
2013 0.4 0.6 -0.9 -0.4 -1.4 -0.1 0.5 -0.4 1 -0.7 0.3 0.2 -0.8
2014 -1.5 0 0.6 -0.1 0.2 0.7 -1.2 -0.2 -1.3 1.2 -1.7 0 -3.2
2015 -1.1 -0.1 -0.5 0.9 -0.3 0.2 -0.1 -2.5 4.5 0.9 0.6 -0.5 1.8
2016 0.1 2.4 0.1 0.2 0.4 1.1 -0.8 -0.9 0.3 -1.1 0.7 -0.2 2.1
2017 0.3 1.1 -0.4 0.1 0.6 0.3 -0.2 0.9 0.2 0.3 -0.3 0.5 3.6
2018 -0.1 -1.8 1.1 -0.6 0 0.2 -0.3 -0.1 0 1.4 1 1.3 2.2
2019 0.3 0.3 1.1 -0.4 -1.6 0.8 -1 1.1 -0.4 0.7 -0.5 0.4 0.8
2020 -2.2 -3.2 -5.3 -3.2 2.4 0.1 -1 0.1 1.1 -1.2 1.2 -0.2 -11
2021 1.8 1.8 0 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart